Zobrazeno 1 - 10
of 31
pro vyhledávání: '"Sam Ouliaris"'
Autor:
Sam Ouliaris, Adrian Pagan
Publikováno v:
Oxford Bulletin of Economics and Statistics. 84:1-20
Autor:
Sam Ouliaris, Adrian Pagan
Publikováno v:
SSRN Electronic Journal.
When sign restrictions are used in SVARs impulse responses are only set identified. If sign restrictions are just given for a single shock the shocks may not be separated, and so the resulting structural equations can be unacceptable. Thus, in a supp
Autor:
Sam Ouliaris, Celine Rochon
Publikováno v:
SSRN Electronic Journal.
This paper estimates the change in policy multipliers in the U.S. relative to their pre-2008 financial crisis levels using an augmented Blanchard-Perotti model to allow for the dynamic effects of shocks to the central bank balance sheet, real interes
Autor:
Sam Ouliaris, Celine Rochon
Publikováno v:
Journal of Macroeconomics. 70:103370
This paper estimates the change in policy multipliers in the U.S. relative to their pre-2008 financial crisis levels. It also estimates the likely impact of the 2020 stimulus packages implemented to address COVID-19. The analysis is based on an augme
Autor:
Sam Ouliaris, Adrian Pagan
Publikováno v:
Oxford Bulletin of Economics and Statistics. 78:605-622
The paper sets out a method for handling sign restrictions in systems of simultaneous equations which are only partially identified. These sign restrictions might apply to either structural equation parameters or functions of them such as impulse res
Autor:
Celine Rochon, Sam Ouliaris
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
Journal of Business & Economic Statistics. 15:51-59
There is considerable interest in whether exchange rates behave like martingales. Liu and He tested the martingale hypothesis for exchange rates using the variance-ratio methodology of Lo and MacKinlay. They found that exchange rates have violated th
Publikováno v:
Journal of Marketing Communications. 2:111-122
Co-integration econometrics have important theoretical advantages over more traditional approaches to estimating the long-term effects of one variable on another. When advertising and sales data are co-integrated, adaptations of common econometric pr
Autor:
Wai Mun Fong, Sam Ouliaris
Publikováno v:
Journal of Applied Econometrics. 10:255-271
A new family of spectral shape tests was proposed recently by Durlauf (1991) for testing the martingale hypothesis. Unlike the widely used variance ratio test, spectral shape tests are consistent against all stationary non-white-noise alternatives fr
Publikováno v:
Empirical Economics. 19:595-609
This paper reexamines the permanent income hypothesis (PIH) in the frequency domain. In contrast to some time domain tests, our frequency domain approach provides an explicit and natural test ofboth the permanentand transitory implications of the PIH